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Browsing Research Articles (Economics) by Author "Kabundi, Alain"
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Das, Sonali; Gupta, Rangan; Kabundi, Alain
(Elsevier, 2009)
This paper develops large-scale Bayesian Vector Autoregressive (BVAR) models, based on 268 quarterly series, for forecasting annualized real house price growth rates for large-, medium- and small-middle-segment housing for ...
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Gupta, Rangan; Kabundi, Alain; Ziramba, Emmanuel
(Routledge, 2010-04)
Empirical evidence on the effect of defense spending on US output is at best mixed. Against this backdrop, this paper
assesses the impact of a positive defense spending shock on the growth rate of real GNP using a Factor ...
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Gupta, Rangan; Kabundi, Alain
(Emerald, 2010)
PURPOSE – This paper seeks to assess the impact of monetary policy on house price inflation for the nine census divisions of the US economy.
DESIGN/METHODOLOGY/APPROACH – A factor-augmented VAR (FAVAR) model is estimated ...
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Gupta, Rangan; Jurgilas, Marius; Kabundi, Alain
(Elsevier, 2010-01)
This paper assesses the impact of monetary policy on real house price growth in South Africa using a factor-augmented vector autoregression (FAVAR), estimated using a large data set comprising of 246 quarterly series over ...
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Gupta, Rangan; Kabundi, Alain
(2010-01)
This paper compares the forecasting ability of five alternative types of models
in predicting four key macroeconomic variables, namely, per capita growth
rate, the CPI inflation, the money market rate, and the growth ...
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Das, Sonali; Gupta, Rangan; Kabundi, Alain
(Wiley-Blackwell, 2011)
This paper uses the Dynamic Factor Model framework, which accommodates a large
cross-section of macroeconomic time series, for forecasting regional house price
inflation. In this study, we forecast house price inflation ...
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Gupta, Rangan; Kabundi, Alain; Miller, Stephen M.
(Elsevier B.V., 2011-07)
We employ a 10-variable dynamic structural general equilibrium model to forecast the
US real house price index as well as its turning point in 2006:Q2. We also examine various
Bayesian and classical time-series models ...
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Gupta, Rangan; Kabundi, Alain; Modise, Mampho P.
(Royal Society of Chemistry, 2010-01)
This paper assesses the impact of a monetary policy shock on 15 key macroeconomic variables of South Africa, in the pre- and post-inflation targeting periods. For this purpose, we use a Factor-Augmented Vector Autoregressive ...
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Gupta, Rangan; Kabundi, Alain
(Elsevier, 2011-10)
This paper uses large Factor Models (FMs), which accommodate a large cross-section of macroeconomic time series for forecasting the per capita growth rate, inflation, and the nominal short-term interest rate for the South ...
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Gupta, Rangan; Jurgilas, Marius; Kabundi, Alain; Miller, Stephen M.
(Taylor & Francis, 2012-01)
Our paper considers the channel whereby monetary policy, a Federal funds rate shock, affects the
dynamics of the US housing sector. The analysis uses impulse response functions obtained from
a large-scale Bayesian vector ...
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Gupta, Rangan; Kabundi, Alain; Miller, Stephen M.
(American Real Estate Society, 2011)
Several Bayesian and classical models are used to forecast house prices in 20 states in
the United States. There are two approaches: extracting common factors (principle
components) in a factor-augmented vector autoregressive ...
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Gupta, Rangan; Kabundi, Alain; Miller, Stephen M.; Uwilingiye, Josine
(Springer, 2014-06)
We use several models using classical and Bayesian methods to forecast
employment for eight sectors of the US economy. In addition to using standard vectorautoregressive
and Bayesian vector autoregressive models, we also ...